Central limit theorem for the empirical process of a linear sequence with long memory. (English) Zbl 0943.60035
The main object of this paper is the functional central limit theorem for the empirical process of a long-range dependent linear (moving-average) sequence. In the case of one-sided moving average, the functional central limit theorem is obtained by the martingale difference decomposition, while in the case of double-sided moving average, the proof is based on an asymptotic expansion of the bivariate probability density.
Reviewer: N.Leonenko (Kyïv)
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